This is a continuation of a short straddle I've been diddling around with since July ... .
As of the last roll (See Post Below), my scratch point was 24.71 versus the straddle value of 27.79. As of today's close, its value was 27.32 with 19.49 of extrinsic and delta/theta metrics of -23.07/8.55. I also erected a November 270 short put (currently 22.82 delta) as a hedge which I will work independently ... .
From a trade management standpoint, I've been looking to periodically roll out for a realized gain and/or to keep the short straddle within +/- 30 delta of neutral.
As of the last roll (See Post Below), my scratch point was 24.71 versus the straddle value of 27.79. As of today's close, its value was 27.32 with 19.49 of extrinsic and delta/theta metrics of -23.07/8.55. I also erected a November 270 short put (currently 22.82 delta) as a hedge which I will work independently ... .
From a trade management standpoint, I've been looking to periodically roll out for a realized gain and/or to keep the short straddle within +/- 30 delta of neutral.
トレード稼働中:
Taking .90/contract profit over last week and rolling out to March "as is" for a 5.22 credit. Scratch at 29.93 versus Friday close straddle value of 32.16; delta/theta of 7.53/-11.22.
コメント:
Checking on the setup near September opex. It's currently valued at 34.66 versus 29.93 scratch with an upside break even of 282 + 29.93 or 311.93, a net delta value of -41.89, and $1582 worth of extrinsic left in it. Since the break even is still wide of where the underlying is currently trading, I'm just going to leave it alone, even though it's become a bit more directional that I would ordinarily like. Would also prefer to roll in a higher vol environment, and vol has crushed in substantially here.
トレード稼働中:
Taking some profit here over the Aug 23rd value of 32.16 (approximately .97/$97 realized gain) and rolling "as is" from March to June for 6.44 credit. Additionally, rolling on volatility pop and movement in toward the short straddle. Scratch at 36.37 versus June 282 short straddle value of 37.68 with a net delta of -16.23 and extrinsic of 31.94.
トレード稼働中:
A smidge more of profit-taking on this down move, plus a roll in a fairly high vol environment ... . Rolling "as is" from June to Sept for a realized gain of .68 ($68) to Sept for a 5.56 credit. Scratch at 41.93 versus short straddle value of 42.59, delta/theta of -18.37/5.99. For what it's worth at this very long-dated point: break evens at 239.41/323.93.
トレード稼働中:
Covering the Nov 18th 270 short put I put on in July as a delta cutter for .07/2.38 ($238 profit). While it's likely to expire worthless, I don't want it on if the market doesn't like whatever the Fed does this week. Scratch on the short straddle at 41.93 - .07 = 41.86. Will look to re-up a cutter post-FOMC or otherwise adjust the current setup to cut net delta after they do what they're gonna do.
